Arbeitspapier
Internationally Cross-Listed Stock Prices During Overlapping Trading Hours: Price Discovery and Exchange Rate Effects
We analyze exchange rates along with equity quotes for 3 German firms from New York (NYSE) and Frankfurt (XETRA) during overlapping trading hours to see where price discovery occurs and how stock prices adjust to an exchange rate shock. Findings include: (a) the exchange rate is exogenous with respect to the stock prices; (b) exchange rate innovations are more important in understanding the evolution of NYSE prices than XETRA prices; and (c) most (but not all) of the fundamental or random walk component of firm value is determined in Frankfurt.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper Series: Finance & Accounting ; No. 78
- Klassifikation
-
Wirtschaft
International Financial Markets
- Thema
-
international stock markets
cross-listing
price discovery
Börsenkurs
Multinationales Unternehmen
Deutsch
Preiskonvergenz
Exchange Rate Pass-Through
Schock
Effizienzmarkthypothese
Deutschland
USA
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Grammig, Joachim
Melvin, Michael
Schlag, Christian
- Ereignis
-
Veröffentlichung
- (wer)
-
Johann Wolfgang Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften
- (wo)
-
Frankfurt a. M.
- (wann)
-
2001
- Handle
- URN
-
urn:nbn:de:hebis:30-17631
- Letzte Aktualisierung
-
10.03.2025, 11:46 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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Objekttyp
- Arbeitspapier
Beteiligte
- Grammig, Joachim
- Melvin, Michael
- Schlag, Christian
- Johann Wolfgang Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften
Entstanden
- 2001
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